Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0168
Annualized Std Dev 0.1826
Annualized Sharpe (Rf=0%) -0.0922

Row

Daily Return Statistics

Close
Observations 4715.0000
NAs 1.0000
Minimum -0.1478
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0044
Maximum 0.1754
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0115
Skewness -0.3003
Kurtosis 47.8018

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0090
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.6422
Historical VaR (95%) -0.0137
Historical ES (95%) -0.0268
Modified VaR (95%) -0.0088
Modified ES (95%) -0.0088
From Trough To Depth Length To Trough Recovery
2006-01-10 2008-12-15 NA -0.6422 3825 739 NA
2002-07-19 2004-05-13 2005-07-11 -0.1903 750 459 291
2005-10-03 2005-10-19 2005-12-30 -0.0781 63 13 50
2005-08-04 2005-08-15 2005-09-09 -0.0413 26 8 18
2005-09-14 2005-09-26 2005-09-30 -0.0276 13 9 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA -0.6 0.5 -0.7 0.9 -0.6 0.6 0.4 0.6
2003 0.6 0.9 -0.6 -0.4 1.1 0.4 0.2 0.1 0.4 0.3 -0.2 0.6 3.6
2004 0.5 0.5 -0.2 0 -0.3 2.2 0.3 -0.9 1 0.8 -1 0 2.7
2005 1 0.6 0.8 0 -0.3 -0.5 -0.6 -0.1 0.6 0.1 -0.8 0.7 1.5
2006 -3.6 0.4 0.1 -0.1 0.2 0.6 -0.1 -0.1 1.6 0.5 0 -0.2 -0.7
2007 0.5 -0.2 -0.2 0.7 0.3 0.6 0.1 2.1 0.4 1.1 -0.4 0.9 6.1
2008 -0.1 -4 -0.6 0.1 -0.1 -2.5 -0.6 -0.6 3.7 4.2 -12 3.4 -9.8
2009 -1 -2 2.7 -1.4 -1.1 0.2 0.5 2.9 0 0.4 1.2 0.9 3.2
2010 0.4 -0.7 0.2 0.9 0.9 0.1 -0.1 0.7 -1.5 0.2 0 1.2 2.3
2011 0.3 0.1 0.6 1 0.5 -0.2 1.1 0.9 -1 0.6 0.8 0.9 5.8
2012 1.7 0.2 -0.3 0.8 -0.1 0.7 -0.1 0.5 0.3 0 0.1 1.3 5.4
2013 0.1 -0.6 0.2 0.1 -3.5 0 -0.7 -0.2 -1.4 -0.6 0.1 -0.4 -6.9
2014 0.7 0.3 0.8 0.3 0.8 -0.2 -0.1 -0.3 1 -0.5 -0.1 -0.4 2.4
2015 0.7 0.7 -0.2 -1.3 1.1 0.3 1.4 0.1 0.2 -0.4 -0.3 0 2.1
2016 -0.1 0.2 0 0.9 1.2 0.1 0.1 -0.4 0.8 -0.4 -0.3 0.1 2.3
2017 -0.3 -0.9 -0.1 0.6 0.2 0.3 1.3 0.2 0.3 -0.5 0.3 0.9 2.3
2018 -0.7 0 0.1 0.4 0 -0.1 0.2 0.5 -0.3 0.6 0.2 0.2 1
2019 0.1 -0.7 1 0.4 0.5 -0.2 -0.5 0.8 0.7 -0.3 0.9 -0.2 2.6
2020 0.7 -4.5 -3.1 3.1 0.3 0.1 -0.6 -0.4 -0.7 0 -0.9 0.4 -5.7
2021 0.4 -0.8 -0.1 NA NA NA NA NA NA NA NA NA -0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-06-26  15.0 SPY    97.7  0.0016  -0.0468  -0.096    -0.147   -0.202   -0.269       NA <NA>     NA    NA       NA
2 2002-06-27  15.2 SPY    99.4  0.0175  -0.0176  -0.0733   -0.132   -0.197   -0.253       NA <NA>     NA    NA       NA
3 2002-06-28  15.2 SPY    99.0 -0.0047  -0.0032  -0.0751   -0.136   -0.194   -0.250       NA <NA>     NA    NA       NA
4 2002-07-01  15.1 SPY    97.0 -0.0195  -0.0278  -0.095    -0.148   -0.203   -0.263       NA <NA>     NA    NA       NA
5 2002-07-02  15.1 SPY    95.0 -0.0212  -0.0265  -0.0901   -0.161   -0.219   -0.288       NA <NA>     NA    NA       NA
6 2002-07-03  15.1 SPY    95.5  0.0057  -0.0226  -0.0872   -0.152   -0.214   -0.290       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart